Working Papers

Nonparametric Local Projections

Connectedness and Layers Factors

We estimate spillover effects among European sovereigns, financial, non-financial institutions when extracting global and block-specific common factors. By allowing for the presence of global and block common factors, we can evaluate spillovers when …

State-Dependent Local Projections

Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the …

Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring

Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or …

Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections

We incorporate low-frequency information from demographic variables into a simple predictive model to forecast stock valuations and returns using demographic projections. The demographics appear to be an important determinant of stock valuations, …

Conditional Inference in Nearly Cointegrated Vector Error-Correction Models with Small Signal-to-Noise

This paper studies inference in cointegrating regessions and vector error correction (VEC) models when the cointegrating errors are a nearly integrated process with a low signal-to-noise-ratio. This combination of persistent, yet low variance error …

Impulse response analysis for structural dynamic models with nonlinear regressors

We study the construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed regressors. We derive the closed-form solution for the population impulse responses to a given shock and propose a …